Acute illness symptoms among investment professionals and stock market dynamics: Evidence from New York City

Gabriele M. Lepori

Journal of Empirical Finance, 2023, vol. 70, issue C, 165-181

Abstract: In the U.S., stock market professionals (e.g., traders, portfolio managers, and analysts) are clustered in New York City (NYC). In view of this, I exploit daily changes in the incidence of acute illness symptoms among 18–64 year old New Yorkers to identify exogenous variation in the rate of acute illness among market professionals and estimate its causal impact on key stock market outcomes. A detailed analysis of taxi trips from a sample of financial institutions to local hospitals provides support for my identification assumption. Other things equal, increased rates of acute physical illness (i.e., reduced productivity) among market professionals hamper price discovery and lower trading activity, volatility, and returns. A one-standard-deviation increase in my illness incidence proxy reduces by 18% (6.7%) the immediate response of stock prices to earnings surprises (changes in analysts’ consensus recommendations) and increases by 29% (42%) their delayed response.

Keywords: Stock market professionals; Price discovery; Volatility; Trading activity; Acute illness (search for similar items in EconPapers)
JEL-codes: G12 G14 G23 G41 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:70:y:2023:i:c:p:165-181

DOI: 10.1016/j.jempfin.2022.12.003

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